Back to Search
Start Over
The dependence structure between crude oil futures prices and Chinese agricultural commodity futures prices: Measurement based on Markov-switching GRG copula
- Source :
- Liu, X D, Pan, F, Yuan, L & Chen, Y W 2019, ' The dependence structure between crude oil futures prices and Chinese agricultural commodity futures prices : Measurement based on Markov-switching GRG copula ', Energy, vol. 182, pp. 999-1012 . https://doi.org/10.1016/j.energy.2019.06.071
- Publication Year :
- 2019
- Publisher :
- Elsevier BV, 2019.
-
Abstract
- The relational measurement based on Markov-switching GRG copula constructed by this paper is harnessed to analyze the dependence structure between WTI (BRENT) crude oil futures price and 12 kinds of Chinese agricultural commodity futures prices. The empirical results show that there exist two structural states of Markov switching between the futures prices of different agricultural commodities and crude oil futures price. The two states have different duration periods, and the degree of correlation with crude oil futures prices varies under different agricultural commodity futures prices. Among all the 12 kinds of agricultural commodity futures, 11 kinds of agricultural commodity futures prices mainly present positive correlations with crude oil futures prices, although the positive correlation differs between non-extreme and extreme conditions. The remaining agricultural commodity futures price is not related to crude oil futures prices.
- Subjects :
- Agricultural commodity
020209 energy
02 engineering and technology
Positive correlation
Industrial and Manufacturing Engineering
Copula (probability theory)
GRG copula
020401 chemical engineering
Markov-switching
0202 electrical engineering, electronic engineering, information engineering
Econometrics
Economics
0204 chemical engineering
Electrical and Electronic Engineering
Civil and Structural Engineering
Dependence structure
Markov chain
Mechanical Engineering
Building and Construction
Agricultural commodity futures
Crude oil
Pollution
General Energy
Crude oil futures
Futures contract
Subjects
Details
- ISSN :
- 03605442
- Volume :
- 182
- Database :
- OpenAIRE
- Journal :
- Energy
- Accession number :
- edsair.doi.dedup.....695254a515812ecc79e31e7037ebd3b0